Zobrazeno 1 - 10
of 46
pro vyhledávání: '"Martingale estimating function"'
Autor:
Yang, Hsin-Chou, Huggins, Richard
Publikováno v:
Biometrics, 2003 Jun 01. 59(2), 365-374.
Externí odkaz:
https://www.jstor.org/stable/3695514
Autor:
Pedersen, Asger Roer
Publikováno v:
Scandinavian Journal of Statistics, 2000 Sep 01. 27(3), 385-403.
Externí odkaz:
https://www.jstor.org/stable/4616612
Autor:
Becker, Niels G., Britton, Tom
Publikováno v:
Journal of the Royal Statistical Society. Series B (Statistical Methodology), 1999 Jan 01. 61(2), 287-307.
Externí odkaz:
https://www.jstor.org/stable/2680642
Autor:
Woerner, Jeannette, Hufnagel, Nicole
In this paper we derive martingale estimating functions for the dimensionality parameter of a Bessel process based on the eigenfunctions of the diffusion operator. Since a Bessel process is non-ergodic and the theory of martingale estimating function
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e18e721c4f5b3b4fb7e675ff76b7a3a6
Akademický článek
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Publikováno v:
Christensen, B J, Posch, O & Van Der Wel, M 2016, ' Estimating dynamic equilibrium models using mixed frequency macro and financial data ', Journal of Econometrics, vol. 194, no. 1, pp. 116-137 . https://doi.org/10.1016/j.jeconom.2016.04.005
We provide a framework for inference in dynamic equilibrium models including financial market data at daily frequency, along with macro series at standard lower frequency. Our formulation of the macro-finance model in continuous time conveniently acc
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ae9d28c81a71527115556b69689f5699
https://doi.org/10.1016/j.jeconom.2016.04.005
https://doi.org/10.1016/j.jeconom.2016.04.005
Publikováno v:
Jakobsen, N M & Sørensen, M 2019, ' Estimating functions for jump–diffusions ', Stochastic Processes and their Applications, vol. 129, no. 9, pp. 3282-3318 . https://doi.org/10.1016/j.spa.2018.09.006
Jakobsen, N M & Sørensen, M 2019, ' Estimating functions for jump–diffusions ', Stochastic Processes and Their Applications, vol. 129, pp. 3282–3318 . https://doi.org/10.1016/j.spa.2018.09.006
Jakobsen, N M & Sørensen, M 2019, ' Estimating functions for jump–diffusions ', Stochastic Processes and Their Applications, vol. 129, pp. 3282–3318 . https://doi.org/10.1016/j.spa.2018.09.006
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate-optimality and efficiency are of particular concern
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::91737c2045afb36c745311f800bf0d3c
https://orbit.dtu.dk/en/publications/2c6b655f-b284-4cc0-a22a-8fb65c9c5d2a
https://orbit.dtu.dk/en/publications/2c6b655f-b284-4cc0-a22a-8fb65c9c5d2a
Autor:
Small, Christopher G., author, Wang, Jinfang, author
Publikováno v:
Numerical Methods for Nonlinear Estimating Equations, 2003, ill.
Externí odkaz:
https://doi.org/10.1093/acprof:oso/9780198506881.003.0002
Autor:
Julie Lyng Forman, Michael Sørensen
Publikováno v:
Forman, J L & Sørensen, M 2014, ' A transformation approach to modelling multi-modal diffusions ', Journal of Statistical Planning and Inference, vol. 146, pp. 56-69 . https://doi.org/10.1016/j.jspi.2013.09.013
This paper demonstrates that flexible and statistically tractable multi-modal diffusion models can be attained by transformation of simple well-known diffusion models such as the Ornstein–Uhlenbeck model, or more generally a Pearson diffusion. The
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ac7680fd61eff7b12d27794d4210df1d
https://doi.org/10.1016/j.jspi.2013.09.013
https://doi.org/10.1016/j.jspi.2013.09.013
Akademický článek
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